Numerical schemes for rough parabolic equations
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Publication:434372
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional processes, including fractional Brownian motion (60G22) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)
Abstract: This paper is devoted to the study of numerical approximation schemes for a class of parabolic equations on (0, 1) perturbed by a non-linear rough signal. It is the continuation of [8, 7], where the existence and uniqueness of a solution has been established. The approach combines rough paths methods with standard considerations on discretizing stochastic PDEs. The results apply to a geometric 2-rough path, which covers the case of the multidimensional fractional Brownian motion with Hurst index H extgreater{} 1/3.
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- ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
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Cites work
- scientific article; zbMATH DE number 54145 (Why is no real title available?)
- scientific article; zbMATH DE number 2065125 (Why is no real title available?)
- scientific article; zbMATH DE number 929821 (Why is no real title available?)
- scientific article; zbMATH DE number 956769 (Why is no real title available?)
- A (rough) pathwise approach to a class of non-linear stochastic partial differential equations
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion
- A discrete approach to rough parabolic equations
- ANOTHER APPROACH TO SOME ROUGH AND STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
- Approximation for semilinear stochastic evolution equations
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Cited in
(7)- A mild Itô formula for SPDEs
- Non-linear rough heat equations
- A discrete approach to rough parabolic equations
- Non-autonomous rough semilinear PDEs and the multiplicative sewing lemma
- Analysis of a positivity-preserving splitting scheme for some semilinear stochastic heat equations
- Solving linear parabolic rough partial differential equations
- An exponential Wagner-Platen type scheme for SPDEs
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